Acceptable Collateral - Ltd

Collateral Management

Members may elect to use either cash or securities to cover margin requirements at the Clearing House; please note that variation margin may only be covered in cash. To facilitate delivery, members may lodge securities either directly or using a tri-party mechanism.

Details of haircuts applied to securities collateral can be found at the following link:

Acceptable Securities Collateral and Current Haircuts

Notes:

1. Members should refer to LCH.Clearnet Limited's General Regulations, Default Rules, and Procedures (Section 4 – Collateral) for more information. Alternatively, please telephone LCH.Clearnet Limited Treasury Operations on +44 (0)20 7426 7505 for information relating to the acceptance of collateral.

2. Before any securities are accepted, members must complete a legal form of charge, for further information telephone LCH.Clearnet Limited Membership department on +44 (0)20 7426  7627 / 7063 / 7891.

3. The following currencies are acceptable as cash collateral; Sterling, Euros, US Dollars, Canadian Dollars, Swiss Francs, Japanese Yen, Swedish Krona, Danish Krone and Norwegian Kroner.

4. Performance bonds are acceptable for a limited range of issuers.

5. The above links refers to securities collateral acceptable to LCH.Clearnet Limited as margin cover for all business cleared. Certain European regulators have agreed that OTC instruments registered with LCH.Clearnet Limited should be exempt (following Directive 2000/12/EC of 20 March 2000) from credit equivalent amount add-on. Any such exemption applies to LCH.Clearnet Limited members only where initial margin requirements are met with Cash or the Government Securities acceptable by LCH.Clearnet Limited. Members are responsible for ensuring that they comply fully with regulatory requirements in this respect.

6. Charge and Credits

   1. Cash - Interest is paid on cash at the London Deposit Rate (LDR). LDR can be viewed daily on TRS at $BRT. 
   2. Performance Bonds - LCH.Clearnet Limited charges 10 basis points (annualised) for utilisation. 
   3. Government Securities - LCH.Clearnet Limited charges 10 basis points (annualised) for utilisation.

   Credits and charges accrue daily and are charged/paid on a monthly basis to the PPS account.

7. Government Agency collateral is subject to a minimum nominal size and sufficient market quotes. Set by clearing member, concentration limits are the lower of 20% of the margin requirement or 500 million - USD for US agencies; EUR for European agencies. A 10% limit of the total amount outstanding on any Agency ISIN will also be applied. Acceptable issues will be maintained using ISIN lists.

8. LCH.Clearnet Limited imposes overall limits on performance bonds.

9. Certain taxation restrictions and requirements may apply to securities including, but not limited to:

   1. Before pledging Spanish Governments, members will be required to provide LCH.Clearnet Treasury Operations with details of their tax status, in accordance with Spanish tax law
   2. Before pledging Italian Governments, members will be required to complete a Tax Exemption Application Form, which can be obtained from LCH.Clearnet Treasury Operations
   
   

10. For SwapClear FCM purposes, cash collateral can be accepted in USD, EUR, GBP, JPY and CAD. However, any requirement to provide cash collateral in currencies other than USD should be referred to Elissa Holme elissa.holme@lchclearnet.com (0207 426 7525) or Andrew Warren andrew.warren@lchclearnet.com (0207 426 7141) in the Collateral and Liquidity Management Department

    All LCH.Clearnet Limited acceptable securities are also eligible for FCM collateral purposes and will be subject to all other constraints applicable to margin collateral more generally. For further details please contact the Risk Department at CaLRM@lchclearnet.com.

11. For all other services, please note that LCH.Clearnet only has limited capacity for certain currencies outside GBP, USD and EUR. Please contact Elissa Holme or Andrew Warren (details above) in the event of wishing to place significant amounts of other currencies as margin collateral.